Gamma distributed random variables in C++

Question

What is the easiest way to get a gamma distributed random variable in C++? Boost seems to have this functionality, but it is not clear for me how to use it.

score 8 · Accepted Answer · answered Mar 31 '11 at 12:42

8

It’s pretty straightforward:

boost::mt19937 rng;
boost::gamma_distribution<> pdf(alpha);
boost::variate_generator<boost::mt19937&, boost::gamma_distribution<> >
    generator(rng, pdf);

Constructs a random number generator and a gamma distribution and glues them together into a usable generator. Now you can create random numbers by invoking the generator.

answered Mar 31 '11 at 12:42

Konrad Rudolph

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@stonybrooknick Unfortunately, [Boost doesn’t seem to have it](http://www.boost.org/doc/libs/1_46_1/doc/html/boost_random/reference.html#boost_random.reference.distributions) but it shouldn’t be too hard to implement once you look at how the other distributions are implemented and how the PDF is defined. – Konrad Rudolph Dec 07 '11 at 07:26
@stonybrooknick: By "beta" you either mean a scale parameter or a rate parameter. In the first case multiply the variates by beta, otherwise divide them. – Neil G Jan 08 '12 at 15:34

score 6 · Answer 2 · answered Mar 31 '11 at 13:06

Here is how you do it in C++11:

#include <random>
#include <iostream>

int main()
{
    typedef std::mt19937 G;
    typedef std::gamma_distribution<> D;
    G g;  // seed if you want with integral argument
    double k = .5;      // http://en.wikipedia.org/wiki/Gamma_distribution
    double theta = 2.0;
    D d(k, theta);
    std::cout << d(g) << '\n';
}

Your compiler may or may not yet support <random>. Boost random has just recently been modified to conform to the std::syntax, but I'm not sure if that modification has actually been released yet (or is still just on the boost trunk).

score 1 · Answer 3 · edited May 23 '17 at 12:26

1

Looks like Gamma Distribution in Boost has some code that will do what you want. The bit you're probably missing is boost::variate_generator.

edited May 23 '17 at 12:26

Community

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answered Mar 31 '11 at 12:44

Gareth McCaughan

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Gamma distributed random variables in C++

3 Answers3